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math.PR2015
The Sharp Constant for the Burkholder-Davis-Gundy Inequality and Non-Smooth Pasting
Walter Schachermayer, Florian Stebegg
We revisit the celebrated family of BDG-inequalities introduced by Burkholder, Gundy \cite{BuGu70} and Davis \cite{Da70} for continuous martingales. For the inequalities $\mathbb{E…
q-fin.MF2015
Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion
Christoph Czichowsky, Walter Schachermayer
While absence of arbitrage in frictionless financial markets requires price processes to be semimartingales, non-semimartingales can be used to model prices in an arbitrage-free wa…